Hemler, Michael L.; Miller, Thomas W. - In: Journal of Financial and Quantitative Analysis 32 (1997) 01, pp. 71-90
We examine market efficiency before and after the 1987 Market Crash using the box spread strategy implemented with European-style S&P 500 Index (SPX) options. Before the Crash, apparent arbitrage opportunities were rare and simulated trades were unprofitable assuming a one-minute execution...